Your SD card is formatted as a single FAT32 partition by default. However, Amon's recovery gives you the ability to create multiple partition and format them as either ext2 or ext3 partitions. You do this to use tools that allow you to install apps to these SD card partitions (or application cache) using apps2sd (or cache2sd).
As you discovered, the "wipe:ext" wipes the data ext2 and ext3 partitions from your SD card, but does
not wipe the data from your normal FAT32 partition. It does this in order to remove all traces of applications from your phone when you are setting up a new ROM from scratch (or just doing a factory reset.) It's a good idea to back up the data from your SD card periodically, but unless you are actually already using apps2sd or cache2sd with xtrSENSE, there is no reason to wipe:ext. It doesn't hurt anything, but it won't affect the new install of xtrSENSE, either.
SMS and MMS messages are not stored on the SD card, and when you factory wipe, you'll lose these messages.
If you did a Nandroid backup, you can, indeed, get them back. There are a number of ways, but I think that the easiest is this.
1. Install the application SMS backup & restore.
SMS Backup & Restore - Android app on AppBrain
2. Open the app and backup the SMS messages on your phone now. (If you have none since you reinstalled xtrSENSE, you can ignore this step.)
3. Restart in recovery. Make a Nandroid backup of your phone - this is xtrSENSE 4.6.5 as you have it installed now.
4. Go to the wipe menu, wipe factory/data reset.
5. Back to the Nandroid menu, do a Nandroid restore of your previous xtrSENSE build. When that is done, restart the phone.
6. You'll have your old system back. Install SMS backup & restore, run it, and backup your messages.
7. Restart the phone in recovery, go to the wipe menu, wipe factory/data reset, and then back to the Nandroid menu. Nandroid restore the xtrSENSE 4.6.5 that you did in step 3. Restart the phone.
8. When it restarts, start SMS backup & restore again, choose restore, and choose the latest backup point. It should bring all of your SMS messages back.
(Note: SMS backup & restore will not backup or restore MMS messages, so if you need those, let me know and I'll give you an alternative.)